Interestingly the current behaviour is useful as it avoids difficult UX problems (should the link open in the main Orion instance or in a tab in the webapp?). Solutions like Unite resort to a very complicated system of rules to determine where the link should open.
For me it would be enough to open the link in a main Orion instance or, better yet, in the system default browser so it can trigger a browser picker like Choosy or Velja.